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Managing Currency Options in Financial Institutions - Yat-Fai Lam - Bog

- Vanna-Volga method

Bag om Managing Currency Options in Financial Institutions

The book introduces how we can manage currency options with the Vanna-Volga method. It describes the underlying theories and applications of the Vanna-Volga method in managing currency options of a financial institution, conforming to the Basel III regulatory requirements which demand a high consistency between the valuation and market risk calculation methodologies of financial instruments.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781138316935
  • Indbinding:
  • Paperback
  • Sideantal:
  • 112
  • Udgivet:
  • 28. juni 2018
  • Størrelse:
  • 156x234x0 mm.
  • Vægt:
  • 174 g.
  • 2-3 uger.
  • 10. december 2024
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Beskrivelse af Managing Currency Options in Financial Institutions

The book introduces how we can manage currency options with the Vanna-Volga method. It describes the underlying theories and applications of the Vanna-Volga method in managing currency options of a financial institution, conforming to the Basel III regulatory requirements which demand a high consistency between the valuation and market risk calculation methodologies of financial instruments.

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